Analysis of financial data series using fractional Fourier transform and multidimensional scaling

Detalhes bibliográficos
Autor(a) principal: Machado, J. A. Tenreiro
Data de Publicação: 2011
Outros Autores: Duarte, Fernando B., Duarte, Gonçalo Monteiro
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.22/4082
Resumo: The goal of this study is the analysis of the dynamical properties of financial data series from worldwide stock market indexes during the period 2000–2009. We analyze, under a regional criterium, ten main indexes at a daily time horizon. The methods and algorithms that have been explored for the description of dynamical phenomena become an effective background in the analysis of economical data. We start by applying the classical concepts of signal analysis, fractional Fourier transform, and methods of fractional calculus. In a second phase we adopt the multidimensional scaling approach. Stock market indexes are examples of complex interacting systems for which a huge amount of data exists. Therefore, these indexes, viewed from a different perspectives, lead to new classification patterns.
id RCAP_9a865381e53fd9e9aa5580dcf014edeb
oai_identifier_str oai:recipp.ipp.pt:10400.22/4082
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling Analysis of financial data series using fractional Fourier transform and multidimensional scalingFinancial data seriesFractional Fourier transformMultidimensional scalingFractional calculusThe goal of this study is the analysis of the dynamical properties of financial data series from worldwide stock market indexes during the period 2000–2009. We analyze, under a regional criterium, ten main indexes at a daily time horizon. The methods and algorithms that have been explored for the description of dynamical phenomena become an effective background in the analysis of economical data. We start by applying the classical concepts of signal analysis, fractional Fourier transform, and methods of fractional calculus. In a second phase we adopt the multidimensional scaling approach. Stock market indexes are examples of complex interacting systems for which a huge amount of data exists. Therefore, these indexes, viewed from a different perspectives, lead to new classification patterns.SpringerRepositório Científico do Instituto Politécnico do PortoMachado, J. A. TenreiroDuarte, Fernando B.Duarte, Gonçalo Monteiro2014-02-28T09:34:52Z20112011-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.22/4082eng0924-090X10.1007/s11071-010-9885-1info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-13T12:44:04Zoai:recipp.ipp.pt:10400.22/4082Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:25:02.095628Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Analysis of financial data series using fractional Fourier transform and multidimensional scaling
title Analysis of financial data series using fractional Fourier transform and multidimensional scaling
spellingShingle Analysis of financial data series using fractional Fourier transform and multidimensional scaling
Machado, J. A. Tenreiro
Financial data series
Fractional Fourier transform
Multidimensional scaling
Fractional calculus
title_short Analysis of financial data series using fractional Fourier transform and multidimensional scaling
title_full Analysis of financial data series using fractional Fourier transform and multidimensional scaling
title_fullStr Analysis of financial data series using fractional Fourier transform and multidimensional scaling
title_full_unstemmed Analysis of financial data series using fractional Fourier transform and multidimensional scaling
title_sort Analysis of financial data series using fractional Fourier transform and multidimensional scaling
author Machado, J. A. Tenreiro
author_facet Machado, J. A. Tenreiro
Duarte, Fernando B.
Duarte, Gonçalo Monteiro
author_role author
author2 Duarte, Fernando B.
Duarte, Gonçalo Monteiro
author2_role author
author
dc.contributor.none.fl_str_mv Repositório Científico do Instituto Politécnico do Porto
dc.contributor.author.fl_str_mv Machado, J. A. Tenreiro
Duarte, Fernando B.
Duarte, Gonçalo Monteiro
dc.subject.por.fl_str_mv Financial data series
Fractional Fourier transform
Multidimensional scaling
Fractional calculus
topic Financial data series
Fractional Fourier transform
Multidimensional scaling
Fractional calculus
description The goal of this study is the analysis of the dynamical properties of financial data series from worldwide stock market indexes during the period 2000–2009. We analyze, under a regional criterium, ten main indexes at a daily time horizon. The methods and algorithms that have been explored for the description of dynamical phenomena become an effective background in the analysis of economical data. We start by applying the classical concepts of signal analysis, fractional Fourier transform, and methods of fractional calculus. In a second phase we adopt the multidimensional scaling approach. Stock market indexes are examples of complex interacting systems for which a huge amount of data exists. Therefore, these indexes, viewed from a different perspectives, lead to new classification patterns.
publishDate 2011
dc.date.none.fl_str_mv 2011
2011-01-01T00:00:00Z
2014-02-28T09:34:52Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.22/4082
url http://hdl.handle.net/10400.22/4082
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 0924-090X
10.1007/s11071-010-9885-1
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Springer
publisher.none.fl_str_mv Springer
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
_version_ 1799131343506898944

Registros relacionados